Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0296 |
| Annualized Std Dev | 0.2046 |
| Annualized Sharpe (Rf=0%) | 0.1445 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5097.0000 |
| NAs | 1.0000 |
| Minimum | -0.1080 |
| Quartile 1 | -0.0052 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1205 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.0893 |
| Kurtosis | 10.0571 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5793 |
| Historical VaR (95%) | -0.0192 |
| Historical ES (95%) | -0.0311 |
| Modified VaR (95%) | -0.0187 |
| Modified ES (95%) | -0.0266 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2017-05-25 | -0.5793 | 2408 | 339 | 2069 |
| 2000-12-12 | 2002-10-09 | 2006-10-26 | -0.4621 | 1474 | 454 | 1020 |
| 2020-02-13 | 2020-03-23 | 2020-08-06 | -0.3143 | 122 | 27 | 95 |
| 2018-01-29 | 2018-12-24 | 2019-05-03 | -0.1829 | 318 | 229 | 89 |
| 2020-09-03 | 2020-09-23 | 2020-11-16 | -0.1002 | 52 | 14 | 38 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -0.4 |
| 2001 | 0.7 | -1.2 | 1.3 | 2.1 | 0.2 | 1 | 0.5 | 0.1 | 0.3 | 3.1 | 0.2 | -0.3 | 8.5 |
| 2002 | 0 | 2.3 | -0.3 | 1 | 0 | -0.3 | -3 | 1.3 | 4.3 | 1.9 | 0 | 0 | 7.2 |
| 2003 | 1.8 | 1.2 | 0.8 | 0.4 | 1.3 | -1.5 | -1.3 | 0 | 1.4 | 0.1 | 1.4 | 0.6 | 6.5 |
| 2004 | -0.8 | 1 | 0.5 | 0.5 | 0 | -1.1 | -0.2 | -0.2 | 1.8 | -0.3 | 0.9 | -0.2 | 1.8 |
| 2005 | 1.1 | 0.7 | -0.5 | 1.3 | 0.6 | -0.2 | 0.1 | 0.6 | -0.6 | -0.1 | 1.8 | -0.6 | 4.2 |
| 2006 | 0.2 | 0.6 | -0.7 | -0.6 | 0.8 | 0.2 | -0.5 | 0.5 | -0.2 | -0.3 | -0.4 | -0.5 | -0.8 |
| 2007 | 0.5 | -1 | -0.4 | 0.4 | 0.6 | 0.2 | 0.3 | 1.5 | 1.3 | -2.4 | 0.4 | -0.9 | 0.6 |
| 2008 | 1.3 | -2.5 | 3.4 | 1 | 0.1 | -0.1 | -0.7 | -0.9 | 0 | 1.2 | -7.9 | 1.1 | -4.5 |
| 2009 | -1.8 | -1.8 | 2.1 | 0.8 | 2.2 | 1.1 | 0.7 | -2.2 | -2.8 | -3.1 | 1.9 | -0.9 | -3.7 |
| 2010 | 1.6 | 0.6 | 0.9 | -1.3 | -1.4 | 0.4 | -0.1 | 3.3 | 0.9 | -0.3 | 2.5 | 0.4 | 7.5 |
| 2011 | 2.2 | -1.5 | 0.6 | 0.2 | -2 | 1.2 | -0.7 | -0.9 | -2.7 | -3.4 | -0.4 | -0.1 | -7.5 |
| 2012 | 1 | 0.8 | 0.6 | 0.5 | -2.1 | 2.8 | 0.1 | 0.7 | 0.7 | 0.8 | 0 | 1.3 | 7.3 |
| 2013 | 0.7 | -0.2 | -0.4 | -0.8 | -1.8 | 0.6 | 0.9 | -0.7 | 0.6 | -0.1 | 0.2 | 0.3 | -0.8 |
| 2014 | -1.3 | 0.4 | 0.4 | 0 | 0.2 | 0.7 | -0.5 | 0.1 | -1.2 | 1.4 | -0.2 | -0.9 | -0.9 |
| 2015 | -1.6 | -0.2 | -0.1 | 0.8 | -0.3 | 0.7 | -0.3 | -3.2 | 0.3 | -0.2 | 0.8 | -0.9 | -4.3 |
| 2016 | -0.1 | 2.5 | -0.1 | -0.6 | 0.1 | 0.2 | -0.4 | 0 | 0.6 | -0.5 | -0.1 | -0.2 | 1.6 |
| 2017 | 0.3 | 1.4 | -0.3 | 0.3 | 0.5 | -0.1 | 0.3 | 0.2 | 0.5 | 0.2 | -0.2 | -0.2 | 2.9 |
| 2018 | -0.1 | -1.5 | 0.9 | 0 | 1.1 | 0.4 | 0.2 | -0.4 | 0.6 | 1 | 0.2 | 0.4 | 3 |
| 2019 | -0.4 | 0.6 | 1.2 | -0.7 | -1.1 | 0.8 | -0.7 | 0.2 | -1 | 0.9 | -0.5 | 0.3 | -0.4 |
| 2020 | -1.4 | -0.5 | -3.9 | -2.5 | 0.7 | 0.5 | 0.5 | 0.8 | 0.5 | -1 | 1.7 | -0.1 | -4.9 |
| 2021 | 1.6 | 2 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
